• 산업경영시스템학회지
• /
• 제28권3호
• /
• pp.26-35
• /
• 2005

This paper is intended to compare the hazard rate estimations from Bayesian approach and maximum likelihood estimate(MLE) method. Hazard rate frequently involves unknown parameters and it is common that those parameters are estimated from observed data by using MLE method. Such estimated parameters are appropriate as long as there are sufficient data. Due to various reasons, however, we frequently cannot obtain sufficient data so that the result of MLE method may be unreliable. In order to resolve such a problem we need to rely on the judgement about the unknown parameters. We do this by adopting the Bayesian approach. The first one is to use a predictive distribution and the second one is a method called Bayesian estimate. In addition, in the Bayesian approach, the prior distribution has a critical effect on the result of analysis, so we introduce the method using computerized-simulation to elicit an effective prior distribution. For the simplicity, we use exponential and gamma distributions as a likelihood distribution and its natural conjugate prior distribution, respectively. Finally, numerical examples are given to illustrate the potential benefits of the Bayesian approach.

• Communications for Statistical Applications and Methods
• /
• 제28권5호
• /
• pp.425-445
• /
• 2021

A generalization of the log-logistic (LL) distribution called exponentiated log-logistic (ELL) distribution on lines of exponentiated Weibull distribution is considered. In this paper, based on progressive type-II censored samples, we have derived the maximum likelihood estimators and Bayes estimators for three parameters, the survival function and hazard function of the ELL distribution. Then, under the balanced squared error loss (BSEL) and the balanced linex loss (BLEL) functions, their corresponding Bayes estimators are obtained using Lindley's approximation (see Jung and Chung, 2018; Lindley, 1980), Tierney-Kadane approximation (see Tierney and Kadane, 1986) and Markov Chain Monte Carlo methods (see Hastings, 1970; Gelfand and Smith, 1990). Here, to check the convergence of MCMC chains, the Gelman and Rubin diagnostic (see Gelman and Rubin, 1992; Brooks and Gelman, 1997) was used. On the basis of their risks, the performances of their Bayes estimators are compared with maximum likelihood estimators in the simulation studies. In this paper, research supports the conclusion that ELL distribution is an efficient distribution to modeling data in the analysis of survival data. On top of that, Bayes estimators under various loss functions are useful for many estimation problems.

• 응용통계연구
• /
• 제35권4호
• /
• pp.501-515
• /
• 2022

두꺼운 꼬리 분포와 레버리지효과 등의 금융시계열의 전형적인 특징에도 불구하고 기존 빈도론적 접근법에서는 이를 명시적으로 포착하는 확률변동성모형이 제시된 바 없다. 본 연구는 빈도론적 접근법에서 수익률 금융시계열의 두꺼운 꼬리 분포와 레버리지효과를 명시적으로 포착할 수 있는 근사적인 확률변동성모형 설정을 제시하고 이에 대한 Langrock 등 (2012)의 HMM근사를 이용한 최우추정을 제안한다. 본 연구는 다양한 모의실험과 실증분석을 통해 본 연구에서 제안하는 근사모형이 두꺼운 꼬리 분포와 레버리지효과를 정밀하고 효과적으로 추정할 수 있음을 보인다.

• 한국안전학회지
• /
• 제32권6호
• /
• pp.46-53
• /
• 2017

The risk is expressed as consequence of damage multiplied by likelihood of failure. The installation of a protective system reduces the risk by reducing the likelihood of failure at the facility. Also, the protective system has different effects on the likelihood of failure according to the proof test cycle. However, when assessing risks in the Off-site Risk Assessment (ORA) system, the variation in risk was not reflected according to the proof test cycle of protective system. This study was conducted to examine the need for proof test and the importance of cycle setting by applying periodic proof test of the protective system to ORA. The results showed that the likelihood of failure and the risk increased with longer proof test cycle. The risk of a two-yearly proof test was eight times greater than that of a three-month cycle. From the results, the protective system needs periodic proof test. Untested protective system for a long term cannot be reliable because it is more likely to be failed state when it is called upon to operate. In order to reduce the risk to an acceptable level, it is effective to differently set the proof test cycle according to the priority. This study suggested a more systematic and accurate risk analysis standard than ORA. This standard is expected to enable an acceptable level of risk management by systematically setting the priority and proof test cycle of the protective system. It is also expected to contribute to securing the safety of chemical facilities and at the same time, will lead to the development of the ORA system.

• Animal Systematics, Evolution and Diversity
• /
• 제19권2호
• /
• pp.297-304
• /
• 2003

Mitochondrial cytochrome b 유전자를 이용하여 한국에서 채집된 5종을 포함한 올빼미과(Strigidae)의 12속 31종의 계통분석을 하였다. Maximum likelihood 분석과, Kimura two-parameter와 p-distance를 이용하여 유전적 근연 관계를 측정하였다. 본 연구에 이용된 959개의 염기서열 가운데, 459개의 서열에서 변이를 확인하였고, 398개의 서열은 계통학적 정보를 가졌다. 올빼미과는 Clade I (Aegolius) , Clade II (Athene, Micrathene, Glaucidium, Surnia), 그리고 Clade III(Bubo, Nyctea, Pulsatrix, Strix, Otus, Ptilopsis, Ninox) 등 세 개의 그룹으로 나뉘어졌다. 또한 Otus속은 지리적으로 다른 두 개의 그룹으로 분리되는 것이 확인되었다.

• 한국정보통신학회논문지
• /
• 제15권12호
• /
• pp.2534-2542
• /
• 2011

본 논문에서는 CDMA (Code Division Multiple Access) 기반 통신 시스템에서의 가용한 직교 부호의 수보다 많은 수의 사용자 수용을 위해 제안된 하향링크 통계적 다중화 기법인 기존 OCHM (Orthogonal Code Hopping Multiplexing) 기술에 다중 안테나를 사용함으로써 성능이 향상될 수 있음을 보인다. 먼저 직교 부호 할당 방식에 따른 두 가지 다른 OCHM 시스템을 소개하고, 이를 LLR (Log-Likelihood Ratio) 값 계산법에 적용 시 나타내어지는 수식 표현을 유도한다. 다음으로, 유도된 LLR 값에 기반을 두어 터보 부호기를 사용할 때, 언급한 OCHM 시스템의 FER (Frame Error Rate) 성능을 검증한다. 또한 비교를 위해 기존 3GPP 표준에서 사용되는 다중 안테나 심벌 매핑 방식의 성능도 분석한다. 결과적으로, 제안된 직교 부호 할당 방식을 적용한 다중 안테나 기반 OCHM 시스템이 기존 시스템 대비 목표 FER을 만족하는데 있어서 에너지 감소 측면에서 상당한 이득이 있음을 확인한다.

• 대한전자공학회논문지TC
• /
• 제42권12호
• /
• pp.103-110
• /
• 2005

본 논문에서는 다중안테나를 갖는 공간 다중화 시스템에서 주어진 채널에 대한 maximum likelihood 검출기의 성능을 수식적으로 유도하였다. 벡터 심볼 오차율을 구하기 위해 nearest neighbor의 방향을 나타내는 에러벡터를 정의하였다. 전송 벡터 심볼이 랜덤한 채널에 의해 변환 될 경우 확정적으로 4개의 nearest neighbor를 가짐을 정의된 에러벡터의 특성을 이용해 입증하였다 변형된 구 검출기로부터 획득 가능한 에러벡터와 최소거리 정보를 바탕으로 주어진 랜덤 채널 하에서 벡터 심볼 오차율을 수식적으로 도출하였다. 유도된 벡터 심볼 오차식을 검증하기 위해, 랜덤 채널을 unitary 채널, dense 채널, sparse 채널로 분류한 후 각 채널 상황에서 유도된 결과 식을 모의 실험 결과와 비교하였다. 모의실험 결과로부터 유도된 벡터 심볼 오차식이 다양한 랜덤 MIMO 채널에서 ML 검출기의 성능을 잘 근사하고 있음을 입증하였다.

• Smart Structures and Systems
• /
• 제16권1호
• /
• pp.163-181
• /
• 2015

This research investigates the structural health monitoring of nonlinear structures after a major seismic event. It considers the identification of flag-shaped or pinched hysteresis behavior in response to structures as a more general case of a normal hysteresis curve without pinching. The method is based on the overall least squares methods and the log likelihood ratio test. In particular, the structural response is divided into different loading and unloading sub-half cycles. The overall least squares analysis is first implemented to obtain the minimum residual mean square estimates of structural parameters for each sub-half cycle with the number of segments assumed. The log likelihood ratio test is used to assess the likelihood of these nonlinear segments being true representations in the presence of noise and model error. The resulting regression coefficients for identified segmented regression models are finally used to obtain stiffness, yielding deformation and energy dissipation parameters. The performance of the method is illustrated using a single degree of freedom system and a suite of 20 earthquake records. RMS noise of 5%, 10%, 15% and 20% is added to the response data to assess the robustness of the identification routine. The proposed method is computationally efficient and accurate in identifying the damage parameters within 10% average of the known values even with 20% added noise. The method requires no user input and could thus be automated and performed in real-time for each sub-half cycle, with results available effectively immediately after an event as well as during an event, if required.

• Communications for Statistical Applications and Methods
• /
• 제11권1호
• /
• pp.49-58
• /
• 2004

In this talk we proposed an asymptotic test for dimensionality in the latent variable model for probabilistic principal component analysis with missing values at random. Proposed algorithm is a sequential likelihood ratio test for an appropriate Normal latent variable model for the principal component analysis. Modified EM-algorithm is used to find MLE for the model parameters. Results from simulations and real data sets give us promising evidences that the proposed method is useful in finding necessary number of components in the principal component analysis with missing values at random.

• Journal of the Korean Data and Information Science Society
• /
• 제15권1호
• /
• pp.83-94
• /
• 2004

In this study we analyze categorical data by means of spatial statistics and echelon analysis. To do this, we first determine the hierarchical structure of a given contingency table by using echelon dendrogram then, we detect candidates of hotspots given as the top echelon in the dendrogram. Next, we evaluate spatial scan statistics for the zones of significantly high or low rates based on the likelihood ratio. Finally, we detect hotspots of any size and shape based on spatial scan statistics.